American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach

This paper considers the Fourier transform approach to derive the implicit integral equation for the price of an American call option in the case where the underlying asset follows a jump-diffusion process. Using the method of Jamshidian (1992), we demonstrate that the call option price is given by the solution to an inhomogeneous integro-partial differential equation in an unbounded domain, and subsequently derive the solution using Fourier transforms. We also extend McKean’s incomplete Fourier transform approach to solve the free boundary problem under Merton’s framework, for a general jump size distribution. We show how the two methods are related to each other, and also to the Geske-Johnson compound option approach used by Gukhal (2001). The paper also derives results concerning the limit for the free boundary at expiry, and presents a numerical algorithm for solving the linked integral equation system for the American call price, delta and early exercise boundary. This scheme is applied to Merton’s jump-diffusion model, where the jumps are log-normally distributed.American options; jump-diffusion; Volterra integral equation; free boundary problem

Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions

This paper presents a numerical method for pricing American call options where the underlying asset price follows a jump-diffusion process. The method is based on the Fourier-Hermite series expansions of Chiarella, El-Hassan & Kucera (1999), which we extend to allow for Poisson jumps, in the case where the jump sizes are log-normally distributed. The series approximation is applied to both European and American call options, and algorithms are presented for calculating the option price in each case. Since the series expansions only require discretisation in time to be implemented, the resulting price approximations require no asset price interpolation, and for certain maturities are demonstrated to produce both accurate and efficient solutions when compared with alternative methods, such as numerical integration, the method of lines and finite difference schemes.American options; jump-diusion; Fourier-Hermite series expansions; free boundary problem

Cost-effectiveness of primary debulking surgery when compared to neoadjuvant chemotherapy in the management of stage IIIC and IV epithelial ovarian cancer.

ObjectivesTo examine the cost-effectiveness of primary debulking surgery (PDS) when compared to neoadjuvant chemotherapy (NACT) in the management of epithelial ovarian cancer (EOC) using Surveillance, Epidemiology, and End Results data linked to Medicare claims (SEER-Medicare).MethodsUsing a Markov model, the cost-effectiveness of PDS was compared to that of NACT. We modeled cost and survival inputs using data from women in the SEER-Medicare database with ovarian cancer treated by either PDS or NACT between 1992 and 2009. Direct and indirect costs were discounted by an annual rate of 3%. Utility weights were obtained from published data. The incremental cost-effectiveness ratio (ICER) of PDS compared to NACT was calculated.ResultsIn our model, women with stage IIIC EOC had a higher mean adjusted treatment cost for PDS when compared to NACT ($31,945 vs$30,016) but yielded greater quality-adjusted life-years (QALYs) (1.79 vs 1.69). The ICER was $19,359/QALY gained. Women with stage IV EOC had a higher mean adjusted treatment cost following PDS when compared to NACT ($31,869 vs $27,338) but yielded greater QALYs (1.69 vs 1.66). The ICER was$130,083/QALY gained. A sensitivity analysis showed that for both PDS and NACT the ICER was sensitive to incremental changes in the utility weight.ConclusionPDS is significantly more cost-effective for women with stage IIIC when compared to NACT. In women with stage IV EOC, PDS is also more cost-effective though the QALYs gained are much more costly and exceed a $50,000 willingness to pay

An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics

This paper considers the problem of pricing American options when the dynamics of the underlying are driven by both stochastic volatility following a square root process as used by Heston (1993), and by a Poisson jump process as introduced by Merton (1976). Probability arguments are invoked to find a representation of the solution in terms of expectations over the joint distribution of the underlying process. A combination of Fourier transform in the log stock price and Laplace transform in the volatility is then applied to find the transition probability density function of the underlying process. It turns out that the price is given by an integral dependent upon the early exercise surface, for which a corresponding integral equation is obtained. The solution generalises in an intuitive way the structure of the solution to the corresponding European option pricing problem in the case of a call option and constant interest rates obtained by Scott (1997).American options; stochastic volatility; jump-diffusion processes; Volterra integral equations; free boundary problem; method of lines

Multi-Systemic Biological Risk and Cancer Mortality: The NHANES III Study.

Multi-systemic biological risk (MSBR), a proxy for allostatic load, is a composite index of biomarkers representing dysregulation due to responses to chronic stress. This study examined the association of an MSBR index with cancer mortality. The sample included n = 13,628 adults aged 20-90 from the NHANES III Linked Mortality File (1988-1994). The MSBR index included autonomic (pulse rate, blood pressure), metabolic (HOMAir, triglycerides, waist circumference), and immune (white blood cell count, C-reactive protein) markers. We fit Cox proportional hazards models to estimate hazard ratios (HRs) and 95% confidence intervals (CI) of overall cancer mortality risk, according to quartiles (q) of the index. In multivariable models, compared to those in q1, q4 had a 64% increased risk for cancer mortality (HR = 1.64, 95% CI:1.13-2.40). The immune domain drove the association (HR per unit = 1.19, 95% CI:1.07-1.32). In stratified analyses, the HR for those with a BMI ≥ 25 was 1.12 per unit (95% CI:1.05-1.19) and those with a BMI < 25 was 1.04 per unit (95% CI:0.92-1.18). MSBR is positively associated with risk for cancer mortality in a US sample, particularly among those who are overweight or obese. The utilization of standard clinical measures comprising this index may inform population cancer prevention strategies

Long-Term Consequences of Early-in-Life Genetic and Pharmacological Interventions In Down Syndrome Mice

Down syndrome (DS) is the leading cause of genetically-defined intellectual disability. Additionally, DS individuals often present with increased susceptibility to epileptic seizures and hyperactivity. Recently, several studies identified altered GABAergic activity through chloride-permeable GABAA receptors as one of the main contributors to impaired cognitive performance in the Ts65Dn mouse model of DS. Data from adult Ts65Dn mice and DS individuals showed an increased expression of the chloride importer NKCC1. As a result, intracellular chloride concentration is higher in Ts65Dn mice and GABAergic responses are depolarizing (vs hyperpolarizing and inhibitory). Accordingly, treatment with the FDA-approved diuretic and NKCC1 inhibitor bumetanide during adulthood rescues inhibitory GABAergic transmission and cognitive deficits in DS mice, although the beneficial effect of the treatment is rapidly lost upon drug withdrawal. However, hyperactivity and susceptibility to seizures are not rescued by bumetanide treatment in adulthood. Here, we investigated the long-term effects of early-in-life genetic and pharmacological interventions targeting NKCC1 by neuron-specific AAV9-mediated NKCC1 knockdown and bumetanide treatment during the first 2 weeks of development, respectively. We found a rescue in long-term memory in two different memory tasks in adult Ts65Dn animals after both interventions. Additionally, early NKCC1 downregulation rescued short-term memory, susceptibility to seizures and hyperactivity phenotype in Ts65Dn mice in adulthood. Notably, both early-in-life genetic and pharmacological interventions rescued the increased GABA-mediated spiking events in acute brain slices from adult trisomic animals. Finally, since bumetanide treatment of human infants can lead to deafness, we assessed ototoxicity in adult WT and Ts65Dn mice treated early in development and found no significant deficits in acoustic startle-response. Our results suggest that time-specific interventions possibly impacting on the trajectories of the developing brain could rescue cognitive performance and deficits that are not rescued by treatment in adulthood, avoiding the adverse diuretic effects of the required chronic adult treatment with bumetanide

Transport at Strong Coupling and Black Hole Dynamics

In this thesis we study aspects of transport in strongly coupled quantum systems with broken translational symmetry. Using holographic duality, we also examine the associated dynamical problem in asymptotically Anti-de Sitter, spatially modulated black holes. More precisely, in chapter 2 we consider the transport of conserved charges in spatially inhomogeneous quantum systems with a discrete lattice symmetry. When the DC conductivities are finite, we derive a set of generalised Einstein relations, relating the diffusion constants of the conserved charges to the DC conductivities and static susceptibilities. We also develop a long-wavelength expansion in order to explicitly construct the heat and charge diffusive modes within hydrodynamics on curved manifolds. In chapter 3 we used analogous techniques to construct the thermoelectric diffusive quasinormal modes in a large class of black hole spacetimes that are holographically dual to strongly coupled field theories in which spatial translations are broken explicitly. These modes satisfy a set of constraints on the black hole horizon, from which we find that their dispersion relations are given by the generalised Einstein relations. In chapter 4 we define a boost incoherent current in spontaneously modulated phases, and we show that in holographic theories, its DC conductivity can be obtained from solving a system of horizon Stokes equations

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston (1993), and by a Poisson jump process of the type originally introduced by Merton (1976). We develop a method of lines algorithm to evaluate the price as well as the delta and gamma of the option, thereby extending the method developed by Meyer (1998) for the case of jump-diffusion dynamics. The accuracy of the method is tested against two numerical methods that directly solve the integro-partial differential pricing equation. The first is an extension to the jump-diffusion situation of the componentwise splitting method of Ikonen & Toivanen (2007). The second method is a Crank-Nicolson scheme that is solved using projected successive over relaxation which is taken as the benchmark. The relative efficiency of these methods for computing the American call option price, delta, gamma and free boundary is analysed. If one seeks an algorithm that gives not only the price but also the delta and gamma to the same level of accuracy for a given computational effort then the method of lines seems to perform best amongst the methods considered.American options; stochastic volatility; jump-diffusion processes; Volterra integral equations; free boundary problem; method of lines

A Risk-Adjusted Model for Ovarian Cancer Care and Disparities in Access to High-Performing Hospitals.

ObjectiveTo validate the observed/expected ratio for adherence to ovarian cancer treatment guidelines as a risk-adjusted measure of hospital quality care, and to identify patient characteristics associated with disparities in access to high-performing hospitals.MethodsThis was a retrospective population-based study of stage I-IV invasive epithelial ovarian cancer reported to the California Cancer Registry between 1996 and 2014. A fit logistic regression model, which was risk-adjusted for patient and disease characteristics, was used to calculate the observed/expected ratio for each hospital, stratified by hospital annual case volume. A Cox proportional hazards model was used for survival analyses, and a multivariable logistic regression model was used to identify independent predictors of access to high-performing hospitals.ResultsThe study population included 30,051 patients who were treated at 426 hospitals: low observed/expected ratio (n=304) 23.5% of cases; intermediate observed/expected ratio (n=92) 57.8% of cases; and high observed/expected ratio (n=30) 18.7% of cases. Hospitals with high observed/expected ratios were significantly more likely to deliver guideline-adherent care (53.3%), compared with hospitals with intermediate (37.8%) and low (27.5%) observed/expected ratios (P<.001). Median disease-specific survival time ranged from 73.0 months for hospitals with high observed/expected ratios to 48.1 months for hospitals with low observed/expected ratios (P<.001). Treatment at a hospital with a high observed/expected ratio was an independent predictor of superior survival compared with hospitals with intermediate (hazard ratio [HR] 1.06, 95% CI 1.01-1.11, P<.05) and low (HR 1.10, 95% CI 1.04-1.16, P<.001) observed/expected ratios. Being of Hispanic ethnicity (odds ratio [OR] 0.85, 95% CI 0.78-0.93, P<.001, compared with white), having Medicare insurance (OR 0.74, 95% CI 0.68-0.81 P<.001, compared with managed care), having a Charlson Comorbidity Index score of 2 or greater (OR 0.91, 95% CI 0.83-0.99, P<.05), and being of lower socioeconomic status (lowest quintile OR 0.41, 95% CI 0.36-0.46, P<.001, compared with highest quintile) were independent negative predictors of access to a hospital with a high observed/expected ratio.ConclusionOvarian cancer care at a hospital with a high observed/expected ratio is an independent predictor of improved survival. Barriers to high-performing hospitals disproportionately affect patients according to sociodemographic characteristics. Triage of patients with suspected ovarian cancer according to a performance-based observed/expected ratio hospital classification is a potential mechanism for expanded access to expert care

Revisiting the Political Economy of Fiscal Adjustments

Revisiting the political economy of fiscal adjustmentsThanasis Ziogasa,⇑, Theodore PanagiotidisbaDepartment of Economic Geography, University of Groningen, the NetherlandsbDepartment of Economics, University of Macedonia, Greecearticle infoArticle history:Available online 27 October 2020JEL:D72E62H62Keywords:Fiscal adjustmentsSpending cutsCabinets’ survivalHeteroskedasticity probitabstractThe political economy of fiscal adjustments is revisited within the framework of Alesinaet al. (1998). A panel that spans from 1970 to 2016 for three datasets (European Union,Eurozone and OECD-19) is constructed. Both descriptive statistics and regression analysisis employed. We assess how successful are policies for budget consolidation. Panel logitand heteroskedasticity probit evaluate the probability of government’s survival after hav-ing engaged in tight (loose) fiscal policies. Economic variables and political characteristicsof the cabinets are taken into account in the specifications. We reveal that the fiscal balanceis an insignificant predictor for the changes of the prime minister or the ideology of thecabinet. Inflation and unemployment rate are significant and positively related to changesin government while spending adjustment composition dummies are negative and signif-icant predictors for such changes. Revenue based adjustments have no effect on re-electionprospects. Our results are robust to sensitivity checks, including various sub-sample anal-ysis and non-linear specifications